INFINITI Conference on International Finance · INFINITI Conference on International Finance 8-9 June 2009 Page 1 of 22 DRAFT Programme Sunday, 7 June 2009 1700-1900 Welcome Reception

INFINITI INFINITI INFINITI INFINITI Conference on International Finance 8-9 June 2009

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DRAFT Programme

Sunday, 7 June 2009

1700-1900 Welcome Reception and Early Registration Dining Hall Foyer

Monday, 8 June 2009

0800-1800 Registration Desk Open Upper Concourse, Level 2, Arts Building 0830-0900 Welcome Walton Theatre “Re-structuring, reform and re-regulation: what will finance look like in

2012?” Opening Remarks by Dan O’Brien, Senior Europe Editor/Economist, The

Economist Intelligence Unit 0900-1030 Parallel Sessions 1 1030-1100 Tea & Coffee Upper Concourse 1100-1200 Plenary Session Walton Theatre “Skewness and Systematic Risk”

Robert F Engle, Michael Armellino Professor of Finance, Stern School of Business, NYU

1200-1300 Lunch (delegates’ own arrangements) 1300-1500 Special Sessions (please note different start times)

1300-1500 Special Session A Walton Theatre “The Ontology of Moral Hazard in International Finance”

1330-1500 Special Session B Emmet Theatre “Asset Management and International Volatility”

1500-1515 Tea & Coffee Upper Concourse 1515-1615 Special Session C Walton Theatre

“Is there value in Corporate Governance Rankings?” 1615-1630 Tea & Coffee Upper Concourse 1630-1800 Parallel Sessions 2 1930 Social Evening

INFINITI Conference 2009 Draft Programme v1.2

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Tuesday, 9 June 2009 0800-1800 Registration Desk Open Upper Concourse 0830-1000 Parallel Sessions 3 1000-1015 Tea & Coffee Upper Concourse 1015-1145 Parallel Sessions 4 1145-1200 Tea & Coffee Upper Concourse 1200-1300 Plenary Session Walton Theatre “The recent global crisis and how to measure its contagion”

Roberto Rigobon, Associate Professor, Sloan School of Management, MIT 1300-1330 Lunch (delegates’ own arrangements) 1330-1500 Parallel Sessions 5 1500-1515 Tea & Coffee Upper Concourse 1515-1615 Special Session D Walton Theatre

“Financial Stability: Experiences on both sides of the Atlantic” Special Session E Emmet Theatre “Research & Industry Interface in Sustainable Investments”

1615-1630 Tea & Coffee Upper Concourse 1630-1800 Parallel Sessions 6 1900 Conference Gala Dinner The Guinness Storehouse, St James’ Gate, Dublin 8


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Special Sessions

Special Session A Monday, 8 June 2009, 1300-1500 hrs Walton Theatre

“The Ontology of Moral Hazard in International Finance”

A Symposium organised by

Linda Hogan, Professor of Ecumenics, Trinity College Dublin Colm Kearney, Professor of International Business, Trinity College Dublin

Brian Lucey, Associate Professor in Finance, Trinity College Dublin Khurshid Ahmad, Professor of Computer Science, Trinity College Dublin

As we approach the end of the first decade of the third millennium, the world is faced with a complex set of inter-related challenges.

� A patently unfair global trading system that fosters chronic poverty, hunger, ill-health, pandemic disease, AIDS, religious polarisation, terrorism and war;

� A defunct international financial system with costly, unaccountable, outdated monolithic

institutions and ineffective regulatory coordination that causes instability, crisis and recession; � Rapid climate change, environmental destruction, resource depletion and nuclear proliferation; and � Rising inequality, inadequate access to education, healthcare and care for the aged, leading to social

exclusion and political alienation. These challenges are not new – but our failure to overcome them necessitates renewed efforts to work more effectively using all our talents and ingenuity to seek new solutions and provide a better world for future generations. Over the ages, methods and techniques have been developed to further our understanding of complex business, cultural, moral and social processes, and to provide a consistent platform to develop new insights and new policy approaches. Since they seek to interrogate the essential elements of these processes, such methods and techniques, based on subjects as diverse as ethics, economics and finance, linguistics, philosophy and psychology, may be described under the rubric term ontology Our work in applied ethics, finance studies and sentiment analysis, has motivated us to organise a symposium on the ontology of moral hazards: we wish to explore the scope and limits of state intervention in the conduct of sections of the global village to undertake excessive risks. We have invited international experts to frame the discussion. A multidisciplinary audience from the worlds of computer science, business, ecumenics, epistemology, finance, informatics, linguistics, philosophy, politics, semantics, sociology, theology and religions will actively participate in the symposium. The symposium will focus on the ontology of moral hazard pertaining to these big challenges. Discussants: “How Language Shapes Thought, Sentiment and Action” by Sam Glucksberg, Emeritus Professor of Psychology, Princeton University

Abstract: Language can have powerful effects on judgment, decision-making, reasoning and perception. I review the principles of human cognition and perception that mediate the effects of language – particularly metaphorical language – in the contexts of economics and social policy. I analyze how figurative language, from euphemisms to analogies and metaphors, is used in the media. The unintended consequences of choosing one metaphor rather than another constitute a media hazard: systematic biasing of financial expectations and investor decision making.


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“The Ontology of Moral Hazard: The Idea of the Financial” by Nimi Wariboko, Katherine B Stuart Associate Professor of Christian Ethics, Andover Newton Theological School (ANTS)

Abstract: This paper investigates and describes the idea of the financial. The critical knowledge gained from the investigation is used to examine the ontology of moral hazard of the current global financial crisis. The main argument of the paper is that finance is inherently hazardous and that specific moral hazards of individuals in the current crisis arose from its primordial hazard, from the radical uncertainty that pertains to it. It concludes by providing an ethical perspective for contesting the ruling ideas of the current financial industry and for managing financial systems ahead of the next crisis.

“Moral Ontology and Moral Hazard” by Scott R Paeth, Assistant Professor of Religious Studies, DePaul University

Abstract: This paper examines the moral background to the current financial crisis in light of the idea of “moral ontology.” Moral ontology is an attempt to describe the underlying ethical worldview that motivates the attitudes and behaviours of people in a given context. In the realm of business and economics, the past two decades has seen an increasing division between the individual morality and the imperative toward profit maximization. This reflects a moral ontology that denies the interconnectedness between business and the rest of society, and the responsibility of participants in the business world for the social whole. The path out of the current financial crisis lies beyond questions of financial regulation and banking reform, and leads toward a refashioning of the moral ontology of capitalist societies in order to reinstate the importance of ethical responsibility at every level of social and economic interaction.

Special Session B Monday, 8 June 2009, 1330-1500 hrs Emmet Theatre

“Asset Management and International Volatility”

A Roundtable moderated by Aleksander Sevic, Trinity College Dublin, featuring � Diego Franzin, Head of Global Quantitative Research & Management, Pioneer Investment

Management Ltd � Joe Naughton, Head of Structured Products, Allied Irish Banks plc � Giuseppe Insalaco, Entrepreneur � Marco Lazzarino, Head of Strategy Management Desk, MPS Asset Management Ireland Ltd Special Session C Monday, 8 June 2009, 1515-1615 hrs Emmet Theatre, Level 2

“Is there value in Corporate Governance Rankings?”

A Symposium on the Scorecard Dilemma Corporate governance scorecards attempt to capture the complexity of governance by a checklist. These checklists have two origins: academic research and professional service providers. However, there are many factors which are not easily distilled into the scorecard approach but which may be more critical to evaluating the quality of governance than what is obtained from these summary snapshots. Introduction by Raj Aggarwal, The University of Akron, and Sandra Dow, UQAM Université du Québec à Montréal “Certification by prestigious lead underwriters” by William Megginson, The University of Oklahoma “Promise and Peril of corporate governance indices” by Roberta Romano, Yale Law School Center for the Study of Corporate Law Wrap-up and Questions from the audience


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Special Session D Tuesday, 9 June 2009, 1515-1615 hrs Walton Theatre, Level 2

“Financial Stability: Experiences on both sides of the Atlantic”

A Roundtable moderated by Frank Brown, Head of Monetary Policy and Financial Stability, Irish Financial Services Regulatory Authority, featuring

� “Money Markets Freeze: Causes and developments since August 2007” by Gerald P Dwyer, Director of

Center for Financial Innovation and Stability, Federal Reserve Bank of Atlanta � “The financial crisis and the Fed response” by James Lothian, Fordham University � “Financial Stability in the EU: Multiple regulators and incentives to cooperate” by Maria J Nieto,

Senior Advisor, Banco de España � “The European Central Bank and financial supervision” by Gerard Hertig, ETH Zentrum Special Session E Tuesday, 9 June 2009, 1515-1615 hrs Emmet Theatre, Level 2

“Research & Industry Interface in Sustainable Investments”

A Roundtable moderated by Constantin Gurdgiev, Trinity College Dublin, featuring � Steve Falci, KBC Asset Management � Nick Robins, HSBC Bank Plc � Dennis McLeavey, CFA Institute � John Devitt, Transparency International Ireland


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Parallel Sessions at a Glance

Parallel

Sessions 1 Parallel

Sessions 2 Parallel

Sessions 3 Parallel

Sessions 4 Parallel

Sessions 5 Parallel

Sessions 6

Mon, 8 June 0900-1030

Mon, 8 June 1630-1800

Tues, 9 June 0830-1000

Tues, 9 June

1015-1145

Tues, 9 June 1330-1500

Tues, 9 June 1630-1800

a

Walton Theatre, Level 2

Corporate

Governance I

Corporate

Governance II

Firm Level Studies

Firms and Forecasts

Firms and Markets

Corporate Finance

b

Emmet Theatre, Level 2

Banking and Funding

Bank

Ownership and Efficiency

International Influences

US Impacts

Culture and Finance

Inter-

dependence

c

Davis Theatre, Level 2

Convergence

Crises

Finance and Economic Growth

Trade and Finance

Trading Platforms

Trading Strategies

d

Conference Room 2026,

Level 2

Asian and Emerging Markets

Volatility and

Markets

Contagion

Volatility

European Integration

Inflation

e

Swift Theatre, Level 2

Currency and Integration

Currency Effects

Exchange Rates

Exchange

Rate Regimes

FX Markets

Derivatives

and Exposure

f

Ui Chadhain Theatre, Level 2

Housing I

Housing II

Financial

Integration and the Real Economy

Global

Integration

Macro-

economics I

Macro-

economics II

g

IIIS Seminar Room C6.002, Level 6

Sovereign Debt and Assets

Sovereign

Credit Markets

International Portfolios

Foreign Investors

Home Bias

Emerging Markets

h

Irish-Scottish Seminar Room A6.009, Level 6

Models

Studies

No Session

Corporate Credit Markets

Bond Markets

Commodities

and Commodity Futures

i

Additional Room,

Level 5, TBC

Institutions

Monitoring Financial

Institutions

Market

Structures

Financial

Instruments

International Structures

Market

Reactions


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Parallel Sessions

*Where there are multiple authors, an asterisk indicates the presenting author.

Parallel Sessions 1: Monday, 8 June 2009 0900-1030

a


Session 1a: Corporate Governance I Chair: Sandra Dow, UQAM Université du Québec à Montréal, Canada International Activities, Agency Problems, and Corporate Financing - Empirical Evidence for German Firms *Malte Brockmann, European Business School, Germany Ulrich Hommel, European Business School, Germany Ansgar Richter, European Business School, Germany Discussant: Paul Moon Sub Choi, Cornell University, USA Corporate Governance and Cross-Border Acquiree Returns *Paul Moon Sub Choi, Cornell University, USA Seth H Huang, Cornell University, USA Discussant: Malte Brockmann, European Business School, Germany Political Hazards, Corporate Financing, and International Investment Decisions - Empirical Evidence for German Firms Malte Brockmann, European Business School, Germany Discussant: Sandra Dow, UQAM Université du Québec à Montréal, Canada

b


Session 1b: Banking and Funding Chair: Laetitia Lepetit, Université de Limoges, France Why foreign banks withdraw? *Aneta Hryckiewicz, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Oskar Kowalewski, Warsaw School of Economics, Poland Discussant: Michael Ehrmann, European Central Bank, Germany Integrated models of capital adequacy – Why banks are undercapitalised Gavin L Kretzschmar, The University of Edinburgh, UK *Alexander J McNeil, Heriot-Watt University, UK Axel Kirchner, Barrie & Hibbert Limited, UK Discussant: Aneta Hryckiewicz, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Convergence and Anchoring of Yield Curves in the Euro Area *Michael Ehrmann, European Central Bank, Germany Marcel Fratzscher, European Central Bank, Germany Refet S Gürkaynak, Bilkent University, Turkey Eric T Swanson, Federal Reserve Bank of San Francisco, USA Discussant: Alexander J McNeil, Heriot-Watt University, UK

c


Session 1c: Convergence Chair: Peter Claeys, Universitat de Barcelona, Spain Should we expect Financial Integration to affect the Business Cycle? Jens Iversen, University of Southern Denmark, Denmark Discussant: Peter Claeys, Universitat de Barcelona, Spain Cultural Dimensions of Corporate Governance Systems Wolfgang Breuer, RWTH Aachen University, Germany *Astrid Salzmann, RWTH Aachen University, Germany Discussant: Jens Iversen, University of Southern Denmark, Denmark The Paradox of Non-Interest Income Convergence Angelos Antzoulatos, University of Piraeus, Greece Ekaterini Panopoulou, University of Piraeus, Greece *Chris Tsoumas, University of Piraeus & Athens University of Economics and Business, Greece Discussant: Astrid Salzmann, RWTH Aachen University, Germany Debt, interest rates, and international capital flows *Peter Claeys, Universitat de Barcelona, Spain Rosina Moreno, Universitat de Barcelona, Spain Jordi Suriñach, Universitat de Barcelona, Spain Discussant: Chris Tsoumas, University of Piraeus & Athens University of Economics and Business, Greece


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d

Conference Room 2026, Level 2

Session 1d: Asian and Emerging Markets Chair: Iuliana Ismailescu, Pace University, USA The spread of international financial shocks on East Asian countries Céline Gimet, Université Lumière Lyon 2 / GATE, CNRS, France Discussant: Gilbert Mbara, CERGE-EI Center for Economic Research and Graduate Education, Czech Republic Assessing Financial Market Integration in Asia – Equity Markets Ip-wing Yu, Hong Kong Monetary Authority, Hong Kong *Laurence Kang-por Fung, Hong Kong Monetary Authority, Hong Kong Chi-sang Tam, Hong Kong Monetary Authority, Hong Kong Discussant: Céline Gimet, Université Lumière Lyon 2 / GATE, CNRS, France Financial Integration and Risk Sharing in the EAC Gilbert Mbara, CERGE-EI Center for Economic Research and Graduate Education, Czech Republic Discussant: Laurence Kang-por Fung, Hong Kong Monetary Authority, Hong Kong

e


Session 1e: Currency and Integration Chair: Stefan Hochguertel, Vrije Universiteit Amsterdam, Netherlands The Value Relevance of Effective Investor Relations Vineet Aggarwal, Cranfield School of Management, UK *Xijuan (Angel) Liao Belotti, The University of Edinburgh, UK Richard J Taffler, The University of Edinburgh, UK Discussant: Stefan Hochguertel, Vrije Universiteit Amsterdam, Netherlands Economic and Financial Predicaments, 2007-2010 *Warren Hogan, University of Technology, Sydney, Australia Jonathan Batten, Hong Kong University of Science & Technology, Hong Kong Discussant: Xijuan (Angel) Liao Belotti, The University of Edinburgh, UK US and European Household Debt and Credit Constraints: Comparative Micro Evidence from the Last 15 Years Jonathan Crook, The University of Edinburgh, UK *Stefan Hochguertel, Vrije Universiteit Amsterdam, Netherlands Discussant: Warren Hogan, University of Technology, Sydney, Australia

f


Session 1f: Housing I Chair: Anthony Murphy, University of Oxford, UK Housing Market Heterogeneity in a Monetary Union Margarita Rubio, Banco de España, Spain Discussant: Anthony Murphy, University of Oxford, UK Three Cycles: Housing, Credit, and Real Activity *Deniz Igan, IMF International Monetary Fund, USA Alain Kabundi, University of Johannesburg, South Africa Francisco Nadal de Simone, Central Bank of Luxembourg, Luxembourg Marcelo Pinheiro, Cornerstone Research, USA Natalia Tamirisa, IMF International Monetary Fund, USA Discussant: Margarita Rubio, Banco de España, Spain Housing Prices and Credit Constraints: Making Sense of the US Experience John V Duca, Federal Reserve Bank of Dallas & Southern Methodist University, USA John Muellbauer, University of Oxford, UK *Anthony Murphy, University of Oxford, UK Discussant: Deniz Igan, IMF International Monetary Fund, USA Joint Probability Distributions and Meta Models: An Emprical Example of Interest Rates and Housing Prices to Ascertain the Probability of Insolvency *Thomas Lutton, Federal Housing Finance Agency, USA Arthur Hogan, Federal Housing Finance Agency, USA


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g


Session 1g: Sovereign Debt and Assets Chair: Filipa Sá, Bank of England, UK Are Sovereign Debt Crises Fundamentals Decoupling from Global Factors? Guillermo Felices, Citibank, UK *Tomasz Wieladek, Bank of England, UK Discussant: Filipa Sá, Bank of England, UK Sovereign Default and Banking *Igor Livshits, The University of Western Ontario, Canada Koen Schoors, Ghent University, Belgium Discussant: Tomasz Wieladek, Bank of England, UK The Macroeconomic Implications of Sovereign Wealth Funds *Filipa Sá, Bank of England, UK Francesca Viani, European University Institute, Italy Discussant: Igor Livshits, The University of Western Ontario, Canada

h


Session 1h: Models Chair: Rosario Monter, Universitat de les Illes Balears, Spain Aggregate US Merger levels: An explained markov switching analysis *Sarah Reilly, Trinity College Dublin, Ireland Brian M Lucey, Trinity College Dublin, Ireland Discussant: Rosario Monter, Universitat de les Illes Balears, Spain Maximum Likelihood Estimation of Stable Paretian Distributions applied to Index and Option Data *Stephen Kinsella, University of Limerick, Ireland Fergal O’Brien, University of Limerick, Ireland Discussant: Sarah Reilly, Trinity College Dublin, Ireland Switching Parisians: A default-risk model with macroeconomic effects Rosario Monter, Universitat de les Illes Balears, Spain Discussant: Stephen Kinsella, University of Limerick, Ireland

i

Additional Room, Level 5

Session 1i: Institutions Chair: Massimiliano Onorato, Università Bocconi, Italy The Institutional Environment and the Speed of Adjustment to the Optimal Debt Ratio: An Analysis for Developed Countries *Eleuterio Vallelado, Universidad de Valladolid, Spain Paolo Saona, Saint Louis University - Madrid Campus, Spain Discussant: Candida Ferreira, Universidade Técnica de Lisboa, ISEG & UECE, Portugal Which Reforms Work and under What Institutional Environment: Evidence from a New Dataset on Structural Reforms *Massimiliano Onorato, Università Bocconi, Italy Chris Papageorgiou, IMF International Monetary Fund, USA Alessandro Prati, IMF International Monetary Fund, USA Discussant: Eleuterio Vallelado, Universidad de Valladolid, Spain The European Credit Market and Institutions Candida Ferreira, Universidade Técnica de Lisboa, ISEG & UECE, Portugal Discussant: Massimiliano Onorato, Università Bocconi, Italy


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Parallel Sessions 2: Monday, 8 June 2009

1630-1800 a


Session 2a: Corporate Governance II Chair: Malte Brockmann, European Business School, Germany Blockholdings and Corporate Governance in the EU Banking Sector Matthias Köhler, ZEW Centre for European Economic Research, Germany Discussant: William Megginson, The University of Oklahoma, USA Do Countries Matter in Predicting Changes in Firm-level Corporate Governance? Marcus Alves, Marquette University, USA *Matthew Morey, Pace University, USA Discussant: Matthias Köhler, ZEW Centre for European Economic Research, Germany Employee Ownership, Board Representation, and Corporate Financial Policies Edith Ginglinger, Université Paris IX Dauphine, France *William Megginson, The University of Oklahoma, USA Timothée Wasin, Université Paris IX Dauphine, France Discussant: Matthew Morey, Pace University, USA

b


Session 2b: Bank Ownership and Efficiency Chair: Alexander J McNeil, Heriot-Watt University, UK Bank Ownership Structure, Market Discipline and Risk: Evidence from a Sample of Privately Owned and Publicly Held European Banks Thierno Barry, Université de Limoges, France *Laetitia Lepetit, Université de Limoges, France Amine Tarazi, Université de Limoges, France Discussant: Gerald P Dwyer, Federal Reserve Bank of Atlanta, USA Banks’ cost efficiency. Kazakhstan and Russia Anatoly Peresetsky, New Economic School & CEMI RAS, Russian Federation Discussant: Laetitia Lepetit, Université de Limoges, France Ownership Structure and Bank Efficiency in the Asia Pacific Region Jose Dacanay Santos, University of the Philippines, Philippines Thierno Barry, Université de Limoges, France *Laetitia Lepetit, Université de Limoges, France Amine Tarazi, Université de Limoges, France Discussant: Anatoly Peresetsky, New Economic School & CEMI RAS, Russian Federation

c


Session 2c: Crises Chair: Deniz Igan, IMF International Monetary Fund, USA Complexity and Crises in Financial Systems Kartik Anand, King’s College London, University of London, UK Simon Brennan, Bank of England, UK Prasanna Gai, Australian National University, Australia Sujit Kapadia, Bank of England, UK *Matthew Willison, Bank of England, UK Discussant: Ola Sholarin, University of Westminster, UK A New Paradigm in Banking and Finance Kazem Falahati, Glasgow Caledonian University, UK Discussant: Matthew Willison, Bank of England, UK An Anatomy of Disaster: A Comprehensive Analysis of the 2007-2009 Credit Crunch, and Financial-Liquidity Crisis *Ola Sholarin, University of Westminster, UK Jose M Feria Dominguez, Universidad Pablo de Olavide, Spain Enrique J. Jiménez Rodriguez, Universidad Pablo de Olavide, Spain Discussant: Kazem Falahati, Glasgow Caledonian University, UK


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d


Session 2d: Volatility and Markets Chair: Eliseo Navarro Arribas, Universidad de Castilla-La Mancha, Spain The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility *Helinä Laakkonen, University of Helsinki, Finland Markku Lanne, University of Helsinki, Finland Discussant: Mª Isabel Martínez Serna, Universidad de Murcia, Spain Monetary Policy, Model Uncertainty and Exchange Rate Volatility Agnieszka Markiewicz, Erasmus Universiteit Rotterdam, Netherlands Discussant: Helinä Laakkonen, University of Helsinki, Finland The predictive power of interest rate volatility on Economic Sentiment: Evidence for Germany and the United Kingdom *Mª Isabel Martínez Serna, Universidad de Murcia, Spain Eliseo Navarro Arribas, Universidad de Castilla-La Mancha, Spain Discussant: Agnieszka Markiewicz, Erasmus Universiteit Rotterdam, Netherlands

e


Session 2e: Currency Effects Chair: Leonard C MacLean, Dalhousie University, Canada Sources of Unexpected Exposure in G7 Industry Stock Returns *Don Bredin, University College Dublin, Ireland Stuart Hyde, The University of Manchester, UK Discussant: Leonard C MacLean, Dalhousie University, Canada Integrated Foreign Exchange Risk Management: The Role of Import in Medium-Sized, Manufacturing Firms *Tom Aabo, University of Aarhus, Denmark Esben Høg, University of Aarhus, Denmark Jochen Kuhn, A P Moller – Maersk A/S, Denmark Discussant: Don Bredin, University College Dublin, Ireland Currency Regimes and Weak Interest Rate Parity *Leonard C MacLean, Dalhousie University, Canada Yonggan Zhao, Dalhousie University, Canada William T Ziemba, The University of British Columbia, Canada Discussant: Tom Aabo, University of Aarhus, Denmark

f


Session 2f: Housing II Chair: Ricardo M Sousa, Universidade do Minho, NIPE, London School of Economics & FMG , Portugal Modelling a Housing and Mortgage Crisis Charles A E Goodhart, London School of Economics, UK Dimitrios P Tsomocos, University of Oxford, UK *Alexandros P Vardoulakis, University of Oxford, UK Discussant: Ricardo M Sousa, Universidade do Minho, NIPE, London School of Economics & FMG, Portugal Housing, mortgage credit and economic activity: are the US and the euro area different? Alberto Musso, European Central Bank, Germany Stefano Neri, Banca d’Italia, Italy *Livio Stracca, European Central Bank, Germany Discussant: Alexandros P Vardoulakis, University of Oxford, UK Housing Wealth, Financial Wealth, Money Demand and Policy Rule: Evidence from the Euro Area Ricardo M Sousa, Universidade do Minho, NIPE, London School of Economics & FMG, Portugal Discussant: Livio Stracca, European Central Bank, Germany


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g


Session 2g: Sovereign Credit Markets Chair: Gerard Gannon, Deakin University, Australia The Reaction of Emerging Markets Credit Default Swap Spreads to Sovereign Credit Rating Changes Iuliana Ismailescu, Pace University, USA Discussant: Gerard Gannon, Deakin University, Australia EMU and European Government Bond Market Integration Pilar Abad, Universidad Rey Juan Carlos & RFA-IREA, Spain *Helena Chuliá, Universitat Oberta de Catalunya, Spain Marta Gómez-Puig, Universidad de Barcelona & RFA-IREA, Spain Discussant: Iuliana Ismailescu, Pace University, USA Regional Stochastic Dynamics in Emerging Market Sovereign Eurobonds Kannan Thuraisamy, Deakin University, Australia *Gerard Gannon, Deakin University, Australia Discussant: Helena Chuliá, Universitat Oberta de Catalunya, Spain

h


Session 2h: Studies Chair: Graham Partington, The University of Sydney, Australia Financial Market Spillovers Around the Globe *Thomas Dimpfl, Universität Erfurt, Germany Robert C Jung, Universität Erfurt, Germany Discussant: Graham Partington, The University of Sydney, Australia Exchange Rate Risk, Transactions Costs and the Forward Bias Puzzle Angelo Ranaldo, Swiss National Bank, Switzerland *Asani Sarkar, Federal Reserve Bank of New York, USA Discussant: Thomas Dimpfl, Universität Erfurt, Germany Rating Migrations: The Effect of History and Time *Graham Partington, The University of Sydney, Australia Huong Dang, The University of Sydney, Australia Discussant: Asani Sarkar, Federal Reserve Bank of New York, USA

i


Session 2i: Monitoring Financial Institutions Chair: Kevin Davis, The University of Melbourne, Australia Evidence of Improved Monitoring and Insolvency Resolution after FDICIA *Edward J Kane, Boston College, USA Rosalind L Bennett, FDIC Federal Deposit Insurance Corporation, USA Robert Oshinsky, FDIC Federal Deposit Insurance Corporation, USA Discussant: Robert Hudson, Newcastle University, UK The impact of Basel I capital regulation on bank deposits and loans in Europe: What can we learn for Basel II? Birgit Schmitz, Universität Bonn, Germany Discussant: Edward J Kane, Boston College, USA Pricing Credit Insurance: Are Customers Exploited in the UK payment protection insurance market? *Robert Hudson, Newcastle University, UK John Ashton, University of East Anglia, UK Discussant: Birgit Schmitz, Universität Bonn, Germany


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Parallel Sessions 3: Tuesday, 9 June 2009

0830-1000 a


Session 3a: Firm Level Studies Chair: Christine Brown, The University of Melbourne, Australia Comovement in Investment *Anzhela Knyazeva, University of Rochester, USA Diana Knyazeva, University of Rochester, USA Randall Morck, University of Alberta, Canada Bernard Yeung, National University of Singapore & New York University, Singapore Discussant: Christine Brown, The University of Melbourne, Australia Great moderation at the firm level? Unconditional versus conditional output volatility Claudia M Buch, Eberhard Karls Universität Tübingen, Germany Jörg Döpke, University of Applied Sciences, Merseburg, Germany *Kerstin Stahn, Deutche Bundesbank, Germany Discussant: Anzhela Knyazeva, University of Rochester, USA Two Paths to Financial Distress Gil Aharoni, The University of Melbourne, Australia *Christine Brown, The University of Melbourne, Australia Qi Zeng, The University of Melbourne, Australia Discussant: Kerstin Stahn, Deutche Bundesbank, Germany

b


Session 3b: International Influences Chair: Aitor Erce Dominguez, Banco de España, Spain Domestic or US News: What Drives Canadian Financial Markets? Bernd Hayo, Philipps-Universität Marburg, Germany *Matthias Neuenkirch, Philipps-Universität Marburg, Germany Discussant: Christian Grisse, Federal Reserve Bank of New York, USA Returns to Domestic and International Acquirers from UK Acquisitions – Evidence from recent merger waves *Sheila O Donohoe, Waterford Institute of Technology, Ireland Alan Gregory, University of Exeter, UK Discussant: Matthias Neuenkirch, Philipps-Universität Marburg, Germany International Financial Transmission: Merging and Mature Markets Guillermo Felices, Citibank, UK *Christian Grisse, Federal Reserve Bank of New York, USA Jing Yang, Bank of England, UK Discussant: Sheila O Donohoe, Waterford Institute of Technology, Ireland

c


Session 3c: Finance and Economic Growth Chair: Kaz Falahati, Glasgow Caledonian University, UK Public Investment and Economic Growth in the European Member States Liliana Donath, West University of Timisoara, Romania *Marius Milos, West University of Timisoara, Romania Discussant: Bruno Ćorić, University of Split, Croatia Leasing and Economic Growth – Evidence for Central and South Eastern Europe Peter Haiss, Vienna University of Economics and Business Administration, Austria *Elisabeth Kichler, Vienna University of Economics and Business Administration, Austria Discussant: Marius Milos, West University of Timisoara, Romania The Financial Accelerator, Globalization and Output Growth Volatility *Bruno Ćorić, University of Split, Croatia Geoff Pugh, Staffordshire University, UK Discussant: Elisabeth Kichler, Vienna University of Economics and Business Administration, Austria

d


Session 3d: Contagion Chair: Marcello Pericoli, Banca d'Italia, Italy Financial Contagion, Vulnerability and Information Flow: Empirical Identification Enzo Weber, Universität Regensburg, Germany Discussant: Marcel Prokopczuk, Universität Mannheim, Germany International Crises, Instability Periods and Contagion: The Case of the ERM *Emanuele Bacchiocchi, Università degli Studi di Milano, Italy Marta Bevilacqua, Università degli Studi di Milano, Italy Discussant: Enzo Weber, Universität Regensburg, Germany Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector Marcel Prokopczuk, Universität Mannheim, Germany Discussant: Emanuele Bacchiocchi, Università degli Studi di Milano, Italy


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Parallel Sessions 3: Tuesday, 9 June 2009 0830-1000

e


Session 3e: Exchange Rates Chair: Peter Westaway, Bank of England, UK The Asset Pricing Model of Exchange Rate and its Test on Survey Data Anna Naszodi, Magyar Nemzeti Bank (Central Bank of Hungary), Hungary Discussant: Peter Westaway, Bank of England, UK Exchange Rates and Asset Prices: heterogeneous agents at work Giulia Piccillo, Katholieke Universiteit Leuven, Belgium Discussant: Anna Naszodi, Magyar Nemzeti Bank (Central Bank of Hungary), Hungary How bad are our models of the exchange rate? Some insights from the yield curve Mark Astley, Bank of England, UK *Peter Westaway, Bank of England, UK Discussant: Giulia Piccillo, Katholieke Universiteit Leuven, Belgium

f


Session 3f: Financial Integration and the Real Economy Chair: Jens Iversen, University of Southern Denmark, Denmark The Two-Sided Effect of Financial Globalization on Output Volatility Barbara Meller, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Discussant: Julia V Giese, Bank of England, UK Six anomalies looking for a model. A consumption based explanation of international financial puzzles Riccardo Colacito, The University of North Carolina at Chapel Hill, USA Discussant: Barbara Meller, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Global Liquidity, Asset Prices and Monetary Policy: A GVAR Perspective *Julia V Giese, Bank of England, UK Christin K Tuxen, University of Copenhagen, Denmark Discussant: Riccardo Colacito, The University of North Carolina at Chapel Hill, USA

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Session 3g: International Portfolios Chair: Michael Kumhof, IMF International Monetary Fund, USA International Portfolios and the US Current Account Jorge Leon, Università Bocconi, Italy Discussant: Michael Kumhof, IMF International Monetary Fund, USA International Portfolio Balance – Modeling the External Adjustment Process *Nils Holinski, Maastricht University, Netherlands Clemens Kool, Utrecht University, Netherlands Joan Muysken, Maastricht University, Netherlands Discussant: Jorge Leon, Università Bocconi, Italy International Currency Portfolios Michael Kumhof, IMF International Monetary Fund, USA Discussant: Nils Holinski, Maastricht University, Netherlands

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Session 3i: Market Structures Chair: Ann B Gillette, Kennesaw State University, USA Price Dispersion in OTC Markets: A New Measure of Liquidity *Rainer Jankowitsch, Vienna University of Economics and Business, Austria Amrut Nashikkar, New York University, USA Marti Subrahmanyam, New York University, USA Discussant: Ann B Gillette, Kennesaw State University, USA Asymmetry in Trading Volume Distributions Pricing Credit Margaret Lynch, Trinity College Dublin, Ireland Discussant: Rainer Jankowitsch, Vienna University of Economics and Business, Austria Trading Institutions and Price Discovery: The Cash and Futures Markets for Crude Oil Albert Ballinger, University of Houston-Clear Lake, USA Gerald P Dwyer, Jr, Federal Reserve Bank of Atlanta, USA *Ann B Gillette, Kennesaw State University, USA Discussant: Margaret Lynch, Trinity College Dublin, Ireland


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1015-1145 a


Session 4a: Firms and Forecasts Chair: Timo Korkeamäki, Hanken School of Economics, Finland A Comparison of the Information Content of Accounting and Market Measures in Distress Prediction S Martin, The University of Sydney, Australia *Maurice Peat, The University of Sydney, Australia Discussant: Timo Korkeamäki, Hanken School of Economics, Finland Predicting Takeovers in the UK and USA Julian Perez Alzueta, Trinity College Dublin, Ireland Discussant: Maurice Peat, The University of Sydney, Australia The effects of the Euro on interest rate sensitivity Timo Korkeamäki, Hanken School of Economics, Finland Discussant: Julian Perez Alzueta, Trinity College Dublin, Ireland

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Session 4b: US Impacts Chair: Louis Gagnon, Queen’s University, Canada US-Global Net Equity Flows: Profit Seeking Motives amidst Long Memory Properties Stephen Miller, Monash University, Australia Discussant: Goetz von Peter, Bank for International Settlements, Switzerland On US Monetary Policy and International Asset Prices Helmut Herwartz, Christian Albrechts Universität zu Kiel, Germany *Leonardo Morales-Arias, Christian Albrechts Universität zu Kiel, Germany Discussant: Stephen Miller, Monash University, Australia The Origins of the US Dollar Shortage in Global Banking Patrick McGuire, Bank for International Settlements, Switzerland *Goetz von Peter, Bank for International Settlements, Switzerland Discussant: Leonardo Morales-Arias, Christian Albrechts Universität zu Kiel, Germany

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Session 4c: Trade and Finance Chair: Jorge Leon, Università Bocconi, Italy Gains from Financial Integration and Trade Openness: a Quantitative Analysis Marta Arespa, Universitat Autònoma de Barcelona, Spain Discussant: Michael Artis, University of Swansea, UK Business Cycle, Currency and Trade, Revisited *Michael Artis, University of Swansea, UK Toshihiro Okubo, Kobe University, Japan Discussant: Marta Arespa, Universitat Autònoma de Barcelona, Spain

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Session 4d: Volatility Chair: Deniz Ozenbas, Montclair State University, USA Volatility Analysis of Precious Metals Returns and Oil Returns: An ICSS Approach *Lucia Morales, Dublin Institute of Technology, Ireland Bernadette Andreosso, University of Limerick, Ireland Discussant: Deniz Ozenbas, Montclair State University, USA The impact of different players on the volume-volatility relation in the foreign exchange market *Geir Høidal Bjønnes, The Norwegian School of Management BI, Norway Dagfinn Rime, Norges Bank (The Central Bank of Norway), Norway Haakon Solheim, Norges Bank (The Central Bank of Norway), Norway Discussant: Lucia Morales, Dublin Institute of Technology, Ireland Rude Awakenings: The Behavior of Volatility at the Open and Across the Trading Day *Deniz Ozenbas, Montclair State University, USA Michael S Pagano, Villanova University, USA Robert A Schwartz, The City University of New York, Baruch College, USA Discussant: Geir Høidal Bjønnes, The Norwegian School of Management BI, Norway


Page 16 of 22


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Session 4e: Exchange Rate Regimes Chair: Petri Jylhä, Helsinki School of Economics, Finland Exchange Rate Regime, Real Misalignment and Currency Crises Oliver Holtemöller, RWTH Aachen University, Germany *Sushanta Mallick, Queen Mary, University of London, UK Discussant: Fang Liu, Katholieke Universiteit Leuven, Belgium On the Growth Impact of Exchange Rate Regimes: Do Political Institutions Matter? Sarantis Kalyvitis, Athens University of Economics and Business, Greece *Ifigeneia Skotida, Athens University of Economics and Business & Bank of Greece, Greece Discussant: Sushanta Mallick, Queen Mary, University of London, UK Why are some currencies viewed as benchmarks? The Roles of Interest Rates, Economic Size, and Exchange-Rate Regime *Fang Liu, Katholieke Universiteit Leuven, Belgium Piet Sercu, Katholieke Universiteit Leuven, Belgium Discussant: Ifigeneia Skotida, Athens University of Economics and Business & Bank of Greece, Greece

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Session 4f: Global Integration Chair: Vadym Volosovych, Florida Atlantic University, USA International Diversification in Debt vs Equity David Amdur, Georgetown University, USA Discussant: Vadym Volosovych, Florida Atlantic University, USA The International Wealth Effect: A Global Error-Correcting Analysis *Robert Vermeulen, Université du Luxembourg & Maastricht University, Luxembourg Nils Holinski, Maastricht University, Netherlands Discussant: David Amdur, Georgetown University, USA Deep Financial Integration and Volatility Sebnem Kalemli-Ozcan, University of Houston & NBER, USA Bent Sorensen, University of Houston & CEPR, USA *Vadym Volosovych, Florida Atlantic University, USA Discussant: Robert Vermeulen, Université du Luxembourg & Maastricht University, Luxembourg

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Session 4g: Foreign Investors Chair: Chandrasekhar Krishnamurti, Auckland University of Technology, New Zealand The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary and Poland *David Buettner, Philipps-Universität Marburg, Germany Bernd Hayo, Philipps-Universität Marburg, Germany Matthias Neuenkirch, Philipps-Universität Marburg, Germany Discussant: Chandrasekhar Krishnamurti, Auckland University of Technology, New Zealand Foreign Ownership Restrictions and Cross-Border Markets for Corporate Control Sviatoslav Moskalev, Adelphi University, USA Discussant: David Buettner, Philipps-Universität Marburg, Germany Foreign Institutional Investors and Security Returns: Evidence from Indian Stock Exchanges Sandhya Ananthanarayanan, CRISIL, India *Chandrasekhar Krishnamurti, Auckland University of Technology, New Zealand Nilanjan Sen, Nanyang Technological University, Singapore Discussant: Sviatoslav Moskalev, Adelphi University, USA

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Session 4h: Corporate Credit Markets Chair: Robert E Krainer, University of Wisconsin-Madison, USA Guilt by association: Creditor rights and industry effects in lending Anzhela Knyazeva, University of Rochester, USA *Diana Knyazeva, University of Rochester, USA Discussant: Serafeim Tsoukas, The University of Nottingham, UK What Effects Have Asian Bond Market Initiatives Had on the Issue of Corporate Bonds in Asia? *Serafeim Tsoukas, The University of Nottingham, UK Paul Mizen, The University of Nottingham, UK Discussant: Anzhela Knyazeva, University of Rochester, USA On the Role of a Stock Market in the European Bank Loan Market: A Study of France, Germany, and the Euro Area Robert E Krainer, University of Wisconsin-Madison, USA Discussant: Diana Knyazeva, University of Rochester, USA


Page 17 of 22


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Session 4i: Financial Instruments Chair: Cesario Mateus, The University of Greenwich, UK Exchange Traded Contracts for Difference: Design, Pricing and Effects Christine Brown, The University of Melbourne, Australia Jonathan Dark, The University of Melbourne, Australia *Kevin Davis, The University of Melbourne, Australia Discussant: Cesario Mateus, The University of Greenwich, UK Trading LIFFE FTSE 100 ESX Index Option Contracts *Fergal O’Brien, University of Limerick, Ireland Tadhg Long, University of Limerick, Ireland Eoin O’Shaughnessy, University of Limerick, Ireland Discussant: Kevin Davis, The University of Melbourne, Australia Does trade credit facilitate access to bank finance? Empirical evidence from Portuguese and Spanish small medium size enterprises Ana Paula Gama, Universidade da Beira Interior, Portugal *Cesario Mateus, The University of Greenwich, UK Andreia Teixeira, Universidade da Beira Interior, Portugal Discussant: Fergal O’Brien, University of Limerick, Ireland


1330-1500 a


Session 5a: Firms and Markets Chair: Serafeim Tsoukas, The University of Nottingham, UK The Benefits of Financial Markets: A Case Study of European Football Clubs *Conor McKeating, Dublin City University, Ireland Dirk G Baur, Dublin City University, Ireland Discussant: Christine Brown, The University of Melbourne, Australia Dividend Policy in Japan: Evidence of Keiretsu Tunneling Raj Aggarwal, The University of Akron, USA *Sandra Dow, UQAM Université du Québec à Montréal, Canada Discussant: Conor McKeating, Dublin City University, Ireland Keiretsu Affiliation and Stock Market Driven Acquisitions *Christine Brown, The University of Melbourne, Australia Carlson Fung, The University of Melbourne, Australia Discussant: Sandra Dow, UQAM Université du Québec à Montréal, Canada

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Session 5b: Culture and Finance Chair: Robert Hudson, Newcastle University, UK Culture and Finance: A Survey of the Literature and a Synthesis Charles Reuter, ESCP-EAP (European School of Management) & Université de Paris X, France Discussant: Colm Kearney, Trinity College Dublin, Ireland Equity Premia Across the Globe: Influence of Inequality and Other National Characteristics Raj Aggarwal, The University of Akron, USA *John W Goodell, The University of Akron, USA Discussant: Charles Reuter, ESCP-EAP (European School of Management) & Université de Paris X, France FPI and culture: a gravity perspective Colm Kearney, Trinity College Dublin, Ireland Discussant: John W Goodell, The University of Akron, USA


Page 18 of 22


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Session 5c: Trading Platforms Chair: Cal B Muckley, University College Dublin, Ireland Organising Equity Exchanges Torsten Schaper, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Discussant: Don Bredin, University College Dublin, Ireland Trading Costs for Futures in the European Emissions Trading Scheme Andros Gregoriou, University of East Anglia, UK *Jerome V Healy, University of East Anglia, UK Discussant: Torsten Schaper, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany An Analysis of the EU Emission Trading Scheme *Don Bredin, University College Dublin, Ireland Cal B Muckley, University College Dublin, Ireland Discussant: Jerome V Healy, University of East Anglia, UK

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Session 5d: European Integration Chair: Christos S Savva, Cyprus University of Technology, Cyprus Integration in the European retail-banking sector: Evidence from savings and lending rates *Aarti Rughoo, London Metropolitan University, UK Nicholas Sarantis, London Metropolitan University, UK Discussant: Christos S Savva, Cyprus University of Technology, Cyprus Measuring European Stock Market Integration Via a Stochastic Discount Factor Approach *Andreas Hanhardt, ESADE Business School, Spain Carmen Ansotegui, ESADE Business School, Spain Discussant: Aarti Rughoo, London Metropolitan University, UK Modelling change in financial market integration: Eastern Europe Nektarios Aslanidis, Universitat Rovira I Virgili, Spain Mardi Dungey, University of Tasmania, Australia *Christos S Savva, Cyprus University of Technology, Cyprus Discussant: Andreas Hanhardt, ESADE Business School, Spain

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Session 5e: FX Markets Chair: Frank McGroarty, University of Southampton, UK Timing Exchange Rates Using Order Flow: The Case of the Loonie Michael King, Bank for International Settlements, Switzerland Lucia Sarno, City University London, UK *Elvira Sojli, Rotterdam School of Management, Netherlands Discussant: Frank McGroarty, University of Southampton, UK Excess Comovements in the Foreign Exchange Market with an Application to the Euro-GBP-USD triplet Michael Kuehl, Georg-August-Universität Göttingen, Germany Discussant: Elvira Sojli, Rotterdam School of Management, Netherlands Order flow persistence and conditional long range dependence in intraday spot exchange rates Frank McGroarty, University of Southampton, UK Discussant: Michael Kuehl, Georg-August-Universität Göttingen, Germany

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Session 5f: Macroeconomics I Chair: Tomasz Wieladek, Bank of England, UK Cyclical Government Spending, Income Inequality and Welfare in Small Open Economies *Paul McNelis, Fordham University, USA Guay Lim, The University of Melbourne, Australia Discussant: Michel Normandin, HEC Montréal, Canada The Impact of Political Convergence on Tests of Financial Integration Marie-Claude Beaulieu, Université Laval, Canada *Marie-Hélène Gagnon, Université Laval & University of Pennsylvania, Canada Lynda Khalaf, Carleton University, Canada Discussant: Paul McNelis, Fordham University, USA Do Tax Cuts Generate Twin Deficits? A Multi-Country Analysis Martin Boileau, University of Colorado at Boulder, USA *Michel Normandin, HEC Montréal, Canada Discussant: Marie-Hélène Gagnon, Université Laval & University of Pennsylvania, Canada


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Session 5g: Home Bias Chair: Hisham Foad, San Diego State University, USA Bias in foreign equity portfolios: households versus professional investors Maela Giofré, Università di Torino & CeRP-CCA, Italy Discussant: Hisham Foad, San Diego State University, USA Do different interpretations of the same information help explain the home bias? Hyung Cheol Kang, University of Seoul, Korea *Dong Wook Lee, Korea University Business School, Korea Kyung Suh Park, Korea University Business School, Korea Discussant: Maela Giofré, Università di Torino & CeRP-CCA, Italy Immigration and Home Equity Bias Hisham Foad, San Diego State University, USA Discussant: Dong Wook Lee, Korea University Business School, Korea

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Session 5h: Bond Markets Chair: Warren Hogan, University of Technology, Sydney, Australia The Informational Impact of Bond Rating Changes on Bond Yield Premia due to Regulation Fair Disclosure Winnie Poon, Lingnan University, Hong Kong *Dorla Evans, The University of Alabama in Huntsville, USA Discussant: Jonathan Batten, Hong Kong University of Science & Technology, Hong Kong Bond risk premia, macroeconomic fundamentals and the exchange rate *Marcello Pericoli, Banca d'Italia, Italy Marco Taboga, Banca d'Italia, Italy Discussant: Dorla Evans, The University of Alabama in Huntsville, USA Foreign Bond Issuance in Australia *Jonathan Batten, Hong Kong University of Science & Technology, Hong Kong Warren Hogan, University of Technology, Sydney, Australia Peter Szilagyi, University of Cambridge, UK Discussant: Marcello Pericoli, Banca d'Italia, Italy

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Session 5i: International Structures Chair: Malgorzata Sulimierska, University of Sussex, UK The effect of the financial crisis on the functioning of deposit protection in the EU *Adamo Uboldi, Joint Research Centre of the European Commission, Italy Francesca Campolongo, Joint Research Centre of the European Commission, Italy Elisabeth Joossens, Joint Research Centre of the European Commission, Italy Marco Petracco, Joint Research Centre of the European Commission, Italy Andrea Saltelli, Joint Research Centre of the European Commission, Italy Discussant: Malgorzata Sulimierska, University of Sussex, UK IMF Lending: Implications for Debt Structures and Crises Aitor Erce-Dominguez, Banco de España, Spain Discussant: Adamo Uboldi, Joint Research Centre of the European Commission, Italy The Russian crisis and IMF intervention Malgorzata Sulimierska, University of Sussex, UK Discussant: Aitor Erce-Dominguez, Banco de España, Spain


Page 20 of 22


1630-1800 a


Session 6a: Corporate Finance Chair: Ciarán mac an Bhaird, Trinity College Dublin & Dublin City University, Ireland An Empirical Analysis of Cross-Listing Decisions in Share-Issue Privatization: Evidence from Developed and Developing Countries Juliet D’Souza, Georgia Gwinnett College, USA *William Megginson, The University of Oklahoma, USA Robert Nash, Wake Forest University, USA Discussant: Ciarán mac an Bhaird, Trinity College Dublin & Dublin City University, Ireland Use and Abuse of Rights Issues. Do they really Protect Minorities? *Michele Meoli, Università degli Studi di Bergamo, Italy Stefano Paleari, Università degli Studi di Bergamo, Italy Giovanni Urga, City University London, UK Discussant: William Megginson, The University of Oklahoma, USA Cultural Influences as a Determinant of SME Financing *Ciarán mac an Bhaird, Trinity College Dublin & Dublin City University, Ireland Brian M Lucey, Trinity College Dublin, Ireland Colm Kearney, Trinity College Dublin, Ireland Discussant: Michele Meoli, Università degli Studi di Bergamo, Italy

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Session 6b: Interdependence Chair: Aleksander Sevic, Trinity College Dublin, Ireland Global Stock Market Interdependencies and Portfolio Diversification *Cal B Muckley, University College Dublin, Ireland Brian M Lucey, Trinity College Dublin, Ireland Discussant: Aleksander Sevic, Trinity College Dublin, Ireland A Vector-Autoregression Analysis of Credit and Liquidity Factor Dynamics in US LIBOR and Euribor Swap Markets *Bernard Murphy, University of Limerick, Ireland Finbarr Murphy, University of Limerick, Ireland Discussant: Cal B Muckley, University College Dublin, Ireland Multinomial Logit models of bank extreme dependence in Europe 2008 *Aleksander Sevic, Trinity College Dublin, Ireland Brian M Lucey, Trinity College Dublin, Ireland Discussant: Bernard Murphy, University of Limerick, Ireland

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Session 6c: Trading Strategies Chair: Paul Moon Sub Choi, Cornell University & SUNY Binghamton School of Management, USA Arbitrage Capital and Currency Carry Trade Returns *Petri Jylhä, Helsinki School of Economics, Finland Matti Suominen, Helsinki School of Economics, Finland Discussant: Paul Moon Sub Choi, Cornell University & SUNY Binghamton School of Management, USA A Trans-Niagara Tale of Informed Traders Paul Moon Sub Choi, Cornell University & SUNY Binghamton School of Management, USA Discussant: Petri Jylhä, Helsinki School of Economics, Finland

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Session 6d: Inflation Chair: Victoria Galsband, Universität Zürich, Switzerland Inflation targeting in Latin America: Empircal analysis using GARCH models Carmen Broto, Banco de España, Spain Discussant: Victoria Galsband, Universität Zürich, Switzerland Did the anchor of inflation expectations in the euro area turn adrift? Gabriele Galati, De Nederlandsche Bank, Netherlands *Steven Poelhekke, De Nederlandsche Bank, Netherlands Chen Zhou, De Nederlandsche Bank, Netherlands Discussant: Carmen Broto, Banco de España, Spain Inflation Uncertainty, Size and Value Premia: Evidence from Survey Data Victoria Galsband, Universität Zürich, Switzerland Discussant: Steven Poelhekke, De Nederlandsche Bank, Netherlands


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Session 6e: Derivatives and Exposure Chair: Tom Aabo, University of Aarhus, Denmark Hedgers or Speculators? Firms’ Use of Currency Derivatives in Emerging Markets *Herman Kamil, IMF International Monetary Fund, USA Ana Fernanda Maiguashca, Bank SuperIntendency of Colombia, Colombia David Perez, Central Bank of Colombia, Colombia Discussant: Tom Aabo, University of Aarhus, Denmark Exchange Rate Exposure in a Developing Economy: Evidence from Chilean Firms Erwin Hansen, Universidad Diego Portales, Chile Discussant: Herman Kamil, IMF International Monetary Fund, USA Can the CFO Trust the FX Exposure Quantification from a Stock Market Approach? *Tom Aabo, University of Aarhus, Denmark Danielle Brodin, Danisco A/S, Denmark Discussant: Erwin Hansen, Universidad Diego Portales, Chile

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Session 6f: Macroeconomics II Chair: Udara Peiris, University of Oxford, Said Business School, UK Optimal Reserves for Self-Insurance against Sudden Stops Jun Il Kim, IMF International Monetary Fund, USA Discussant: Udara Peiris, University of Oxford, Said Business School, UK Fiscal Uncertainty and Currency Crises Inci Gumus, Sabanci Universitesi, Turkey Discussant: Jun Il Kim, IMF International Monetary Fund, USA International Monetary Equilibrium with Default *Udara Peiris, University of Oxford, Said Business School, UK Dimitrios Tsomocos, University of Oxford, Said Business School, UK Discussant: Inci Gumus, Sabanci Universitesi, Turkey

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Session 6g: Emerging Markets Chair: Aneta Hryckiewicz, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany The Case for Stabilizing China’s Exchange Rate: Setting the Stage for Fiscal Expansion *Gunther Schnabl, Universität Leipzig, Germany Ronald McKinnon, Stanford University, USA Discussant: Martin Schmitz, Trinity College Dublin, Ireland Investability and financing in emerging markets *Thomas O’Connor, National University of Ireland, Maynooth, Ireland Thomas Flavin, National University of Ireland, Maynooth, Ireland Discussant: Gunther Schnabl, Universität Leipzig, Germany Financial Reforms and Capital Flows to Emerging Europe Martin Schmitz, Trinity College Dublin, Ireland Discussant: Thomas O’Connor, National University of Ireland, Maynooth, Ireland

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Session 6h: Commodities and Commodity Futures Chair: Marcel Prokopczuk, Universität Mannheim, Germany The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements *Claire Gilmore, King’s College, USA Ginette McManus, Saint Joseph's University, USA Rajneesh Sharma, Saint Joseph's University, USA Ahmet Tezel, Saint Joseph's University, USA Discussant: Marcel Prokopczuk, Universität Mannheim, Germany Commodity futures and the weak form of market efficiency Viviana Fernandez, University of Chile, Chile Discussant: Claire Gilmore, King’s College, USA Investing in Commodity Futures Markets: Can Pricing Models Help? Raphael Paschke, Universität Mannheim, Germany *Marcel Prokopczuk, Universität Mannheim, Germany Discussant: Viviana Fernandez, University of Chile, Chile


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Session 6i: Market Reactions Chair: Maxwell Stevenson, The University of Sydney, Australia Short Changed? The Market’s Reaction to the Short Sale Ban of 2008 *Louis Gagnon, Queen’s University, Canada Jonathan Witmer, Bank of Canada, Canada Discussant: Maxwell Stevenson, The University of Sydney, Australia Vintage and Credit Rating: What matters in the ABX data during the credit crunch? *Tom Flavin, National University of Ireland, Maynooth, Ireland Mardi Dungey, University of Tasmania, Australia Gerald P Dwyer, Jr, Federal Reserve Bank of Atlanta, USA Discussant: Louis Gagnon, Queen’s University, Canada Resolving the Price-Earnings Puzzle at the Macro Level – Evidence from the S&P500 Index *Maxwell Stevenson, The University of Sydney, Australia Carl Chiarella, University of Technology, Sydney, Australia Gao Shenhuai, University of Technology, Sydney, Australia Discussant: Tom Flavin, National University of Ireland, Maynooth, Ireland

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INFINITI Conference on International Finance · INFINITI Conference on International Finance 8-9 June 2009 Page 1 of 22 DRAFT Programme Sunday, 7 June 2009 1700-1900 Welcome Reception